It is possible to change settings so Tor will not be able to connect on the IP's and Proxyes I was already connected?
As Peter already said it is not supported and I think it would hurt anonymity and performance.
If Tor would keep track of the exits it used and discards them as exits for later circuits it will run out of exits to use. This narrows down where you will exit. If an attacker, who has guards and exits, could make Tor create new circuits he will be able to correlate traffic. If Tor doesn't use high capacity exits because it ran out of them your performance will suffer.
Even with infinite plentiful resourced exits such an option should make your path selection easier to predict as you wouldn't return to the same middle node and/or exit.